Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 4 | 4 | 4 |
| Score | 3.69 | 3.37 | 3.12 |
| Market Cap (Millions USD) | 40.18 | 39.73 | 38.92 |
| Predicted Beta | 0.86 | 0.84 | 0.94 |
| Idiosyncratic Volatility | 7.22 | 5.18 | 7.98 |
Annualized return and volatility
| JHMC | |
|---|---|
| Annualized Return | 0.1048 |
| Annualized Std Dev | 0.1429 |
| Annualized Sharpe (Rf=0%) | 0.7337 |
Row
Daily Return Statistics
| JHMC | |
|---|---|
| Observations | 1082.0000 |
| NAs | 4032.0000 |
| Minimum | -0.0408 |
| Quartile 1 | -0.0032 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0049 |
| Maximum | 0.0508 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0001 |
| Stdev | 0.0090 |
| Skewness | -0.3152 |
| Kurtosis | 3.3416 |
Downside Risk
| JHMC | |
|---|---|
| Semi Deviation | 0.0066 |
| Gain Deviation | 0.0062 |
| Loss Deviation | 0.0073 |
| Downside Deviation (MAR=210%) | 0.0115 |
| Downside Deviation (Rf=0%) | 0.0064 |
| Downside Deviation (0%) | 0.0064 |
| Maximum Drawdown | 0.2000 |
| Historical VaR (95%) | -0.0140 |
| Historical ES (95%) | -0.0226 |
| Modified VaR (95%) | -0.0145 |
| Modified ES (95%) | -0.0242 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2018-09-24 | 2018-12-24 | 2019-04-04 | -0.2000 | 135 | 65 | 70 |
| 2015-11-04 | 2016-02-11 | 2016-08-11 | -0.1642 | 196 | 69 | 127 |
| 2018-01-29 | 2018-04-02 | 2018-08-21 | -0.1039 | 145 | 45 | 100 |
| 2019-07-17 | 2019-08-15 | 2019-11-18 | -0.0876 | 89 | 22 | 67 |
| 2019-04-25 | 2019-06-03 | 2019-07-03 | -0.0861 | 50 | 28 | 22 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | JHMC | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2010 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2011 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2012 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2013 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2014 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2015 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.8 | 0.0 | 0.8 |
| 2016 | 0.0 | 0.8 | 0 | 0.0 | 0.0 | 1.3 | 0.0 | 0.2 | 0.0 | 0.0 | 0.0 | 0.0 | 2.3 |
| 2017 | -0.3 | 1.1 | 0 | 0.1 | 1.6 | 0.0 | 0.0 | 0.4 | 0.0 | -0.2 | -1.0 | 0.0 | 1.6 |
| 2018 | -1.3 | -1.5 | 0 | -0.2 | 1.4 | 0.0 | -1.0 | 0.0 | -0.2 | 1.9 | 0.0 | 0.0 | -1.0 |
| 2019 | -0.4 | 0.7 | 1 | -0.9 | 0.0 | 0.6 | -2.1 | 0.0 | -0.8 | 0.7 | 0.0 | 0.2 | -1.1 |
Row
Rolling Performance Chart
Snail Trail Chart
